Proceedings of the 2016 4th International Education, Economics, Social Science, Arts, Sports and Management Engineering Conference (IEESASM 2016)

The Price Leading Effects among Offshore and Onshore RMB Exchange Rate Markets --- An empirical analysis based on the two stage comparison

Authors
Xiaoling Song, Ya Gao
Corresponding Author
Xiaoling Song
Available Online September 2016.
DOI
https://doi.org/10.2991/ieesasm-16.2016.51How to use a DOI?
Keywords
RMB Onshore Market, RMB Offshore Market, Exchange Rate Fluctuations Interval, Price leading effect.
Abstract
Taking March 17, 2014 as the time spit point when the exchange rate floating range was expanded again, and using the Vector Auto Regression model, impulse response function, variance decomposition, we make a comparative analysis is on the dynamic changes in the price guide effects among the CNY, CNH and NDF market in this paper. Studies have shown that the linkage effects among the three markets have strengthened after the expansion of the exchange rate fluctuations interval. The exchange rate of CHY plays more significant leading role on CNH and NDF. The exchange rate price guide function of CNH and NDF on CHY has also increased, but the contribution is not significant. The onshore RMB market has owned the pricing power of the RMB exchange rate.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Cite this article

TY  - CONF
AU  - Xiaoling Song
AU  - Ya Gao
PY  - 2016/09
DA  - 2016/09
TI  - The Price Leading Effects among Offshore and Onshore RMB Exchange Rate Markets --- An empirical analysis based on the two stage comparison
BT  - 2016 4th International Education, Economics, Social Science, Arts, Sports and Management Engineering Conference (IEESASM 2016)
PB  - Atlantis Press
SN  - 2352-5428
UR  - https://doi.org/10.2991/ieesasm-16.2016.51
DO  - https://doi.org/10.2991/ieesasm-16.2016.51
ID  - Song2016/09
ER  -